Labour Leader David Shearer has joined Winston Peters in raising questions over whether Peter Dunne was involved in leaking to the media Rebecca Kitteridge's report revealing potential illegal spying by the GCSB.

Mr Peters made the allegation today under the protection of parliamentary privilege during Mr Dunne's appearance before the finance and expenditure select committee to answer questions about the Inland Revenue Department.

When asked by Mr Peters, Mr Dunne denied he'd leaked the report but did confirm former senior public servant David Henry - who is investigating how the report was leaked - had spoken to him.

Although committee chairman and National MP Todd McClay tried to shut down further questions from Mr Peters, the NZ First Leader persisted, stating at one point: "My assertion is you did leak the report".

Mr Shearer this afternoon said Mr Peters' question was a legitimate one.

"There was a very small circulation of this document. It was clearly leaked by somebody and one of those people could be Peter Dunne."

During Parliament's question time, he asked Prime Minister John Key whether Mr Dunne had given Mr Henry an assurance that neither he or his office had leaked the report to the media.

Mr Key referred Mr Shearer to Mr Dunne's categorical assurance earlier in the day that he in no way leaked that report.

"He is a person of absolute integrity. I'd be absolutely stunned if he played any part in leaking the report."

Earlier, Mr Key told reporters it appeared Mr Peters was using parliamentary privilege to make allegations against Mr Dunne that he had no evidence to support.

"If he really seriously believed them he'd probably come out here on this floor here now and make the same statement", Mr Key told reporters just before he entered the House.

Asked if he had confidence in Mr Dunne, Mr Key said he did.

"He's given an absolutely categorical assurance he didn't do this. I accept him at his word I've worked with him for a long period of time. For the entire period of time I've worked with him I've found him to be extremely trustworthy."

Mr Dunne said Mr Henry had questioned everyone who had received a copy of the report.

Copies of the report went to a number of ministers including some like Mr Dunne who are outside of Cabinet. It also went to several public sector chief executives.

Mr Dunne said he kept Ms Kitteridge's report secure and it was seen by only one of his own staff members.

"I kept it under lock and key effectively in my home until the day after it was released publicly."

Asked whether any minister found to have leaked the report should be sacked, Mr Dunne said that was a matter for the Prime Minister.

"I'm clear in my conscience as to what happened with regards to my handling of the report."

Ms Kitteridge's report, hurriedly released after key details were leaked to Fairfax media last month, revealed that more than 80 people may have been illegally spied on, in addition to revelations last year that the GCSB had potentially illegally spied on German internet tycoon Kim Dotcom.